Now onto the question... I've developed a fun strategy that seeks a few points on the YM by jumping onto a price wave and hoping back out of the market with a few dollars.
The backtest looks terrfic across all of the future assest classes as well as DIA and SPY.
The question is why is the strategy often showing marginally negative, returns, or more important, DOES ONE WEIGHT THE SUCCESS RATE OF THE STRATEGY IN A PERCENTAGE BASIS HIGHER THAN THE DOLLAR RETURNS?
As an aside, my intention is to manually trade the strategy across several assets during the course of the trading day, as signals manifest, and current market condition warrent.
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